A recursive method for static replication of autocallable structured products

This paper discusses the problem of valuation and risk management of structured products, which have been popular in recent financial markets. We propose a recursive method based on static replication for a variety of structured products, and, in particular, focus on products with autocallable and barrier features under a general Markovian diffusion with killing. The core idea of the proposed algorithm is to recursively utilize the strike-spread approach and calendar-spread approach in the literature. To increase computational and practical feasibilities, we devise discrete static hedges and their convergence is analysed. Numerical experiments are conducted to confirm the effectiveness of our proposal and to show its highly accurate pricing and hedging performance.     

企业衍生效应对创新网络演化的作用机理研究

由创新网络和企业衍生概念入手，将衍生效应分解为知识溢出、集群创新文化和竞争关系3个维度，将集群创新网络分解为 “质”、“量”两个维度，以北京、大连、济南、天津高技术产业集群的衍生企业为对象，实证研究企业衍生效应对集群创新网络的影响。结果显示，企业衍生效应对集群创新网络演化存在正向促进作用。其中，知识溢出、集群创新文化与创新网络的“质”维度存在显著正相关关系，知识溢出、集群创新文化和适度竞争关系与创新网络的“量”维度存在显著正相关关系。     

Shareholder litigation rights and corporate payout policy: Evidence from universal demand laws

This study exploits the staggered adoption of universal demand (UD) laws, which place significant obstacles to derivative lawsuits and thus, undermine shareholders’ rights by 23 states in the United States (U.S.) from 1989 to 2005 as a quasi-natural experiment to examine the effects of shareholder litigation rights on corporate payout policy. Weakened litigation rights for shareholders materially increase firms’ payout ratios. The effect is more pronounced for firms exposed to higher shareholder litigation risk ex-ante, firms with higher institutional holdings, and ones financially unconstrained. Overall, the findings are consistent with lower shareholder litigation threats motivating firms to increase dividend payouts.     

Dynamic copula models for the spark spread

We propose a non-symmetric copula to model the evolution of electricity and gas prices by a bivariate non-Gaussian autoregressive process. We identify the marginal dynamics as driven by normal inverse Gaussian processes, estimating them from a series of observed UK electricity and gas spot data. We estimate the copula by modeling the difference between the empirical copula and the independent copula. We then simulate the joint process and price options written on the spark spread. We find that option prices are significantly influenced by the copula and the marginal distributions, along with the seasonality of the underlying prices.     

Pricing dynamic binary variables and their derivatives

Many important assets or business ventures have cash flows that are not derivatives of a market security but are nevertheless dependent on some variable that is correlated with market prices. This includes many real option projects. This paper presents a methodology using a binary framework for pricing such assets by projection onto the market space. Under certain conditions, the result has the property that, given this price process, no risk-averse investor would choose to invest in this asset either long or short.     

A class of stochastic volatility models and the q-optimal martingale measure

This paper proposes an approach under which the q-optimal martingale measure, for the case where continuous processes describe the evolution of the asset price and its stochastic volatility, exists for all finite time horizons. More precisely, it is assumed that while the ‘mean–variance trade-off process’ is uniformly bounded, the volatility and asset are imperfectly correlated. As a result, under some regularity conditions for the parameters of the corresponding Cauchy problem, one obtains that the qth moment of the corresponding Radon–Nikodym derivative does not explode in finite time.     

极限的运算方法

本文利用极限与某些概念、定理、公式间的联系，介绍了几种常用方法之外的求极限的方法，目的在于开拓解题思想，更深入地理解高等数学各部分的联系。     

Dividends in the theory of derivative securities pricing

This paper develops the fundamental aspects of the theory of martingale pricing of derivative securites in a setting where the cumulative gains processes are Itô processes while the cumulative dividend processes of both the underliers and the derivative securities are general enough to cover all cases encountered in practical applications. A key ingredient is a general formula for how to change the unit of account of a cumulative dividend process. The formula is inconsistent with parts of the earlier literature. It obeys a unit-invariance rule for trading strategies, satisfies a consistency property when the unit is changed twice in a row, gives the correct results in well-known and uncontroversial special cases, and fits perfectly into a generalization of the martingale valuation theory. Using that generalized theory, we show that the value of a dividend process equals the value of a claim to the nominal amount of dividends yet to be accumulated plus the value of a flow of interest on the cumulative dividends at each point in time.     

关于衍生金融工具的风险控制研究

衍生金融工具的创新和发展是现代市场经济发展的必然产物。我国加入WTO后,金融市场在迅速扩张,其隐含风险不可忽视。本文认为,我国应借鉴其他国家经验,加强金融监管,完善会计法规,在发展衍生金融工具的同时注重对其风险进行控制。     

衍生金融工具带来的会计问题

衍生金融工具的发展及其蕴涵的巨大风险，要求财务会计将其作为资产负债表项目进行适当的确认，计量和披露，在衍生金融工具具体的会计处理方法上，应考虑交易性质，交易方式的不同，及财务会计谨慎性原则的要求。